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The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk. (English) Zbl 1136.60340

Summary: The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20 Stochastic integral equations
93E20 Optimal stochastic control
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